Closed azev77 closed 3 years ago
Multi-step forecasts (for returns etc) were implemented in #61 The following works
using ARCHModels; BG96 am = fit(GARCH{1, 1}, BG96) predict.(am, :volatility, 1:3) predict.(am, :return, 1:3) am = fit(ARCH{0}, BG96) predict.(am, :volatility, 1:3) predict.(am, :return, 1:3) am = fit(ARCH{0}, BG96, meanspec=ARMA{12,0}) predict.(am, :volatility, 1:3)
I get the following errors:
julia> predict.(am, :return, 1:3) ERROR: BoundsError: attempt to access 1974-element Array{Float64,1} at index [1975]
@SebRollen's PR https://github.com/s-broda/ARCHModels.jl/pull/83 fixes this
Multi-step forecasts (for returns etc) were implemented in #61 The following works
I get the following errors: